To create a new Gallery:
Content Management -> Create content -> Gallery
Once you have given your Gallery a name and an optional description, you will be prompted to add photos to the Gallery.
Look for the "Upload New Images" tab (which also appears on all Galleries, not just the one you just created). You can use this to upload multiple photos at once.
When the photos are uploaded, you can use the "Manage Images" tab to change the title of each image, and add a caption to each image.
Your new Gallery will appear on the "List of Galleries" page.
You can select a Gallery to figure out what it's path is, and then add that path to menus or other links.